power-law

  1. Nicole Seaman

    P1.T4.24.9. Key Risk Indicators, The Power Law, Moral Hazard and Adverse Selection

    Learning Objectives: Describe how to identify causal relationships and how to use Risk and Control Self-Assessment (RCSA), Key Risk Indicators (KRIs), and education to measure and manage operational risks. Describe the allocation of operational risk capital to business units. Explain how to use...
  2. Nicole Seaman

    P1.T2.21.4. Non-normal distributions and rank correlations

    Learning objectives: Explain how the Jarque-Bera test is used to determine whether returns are normally distributed. Describe the power law and its use for non-normal distributions. Define correlation and covariance and differentiate between correlation and dependence. Describe properties of...
    • Nicole Seaman
    • Thread
    • correlation covariance dependence jarque-bera-test non-normal-distributions normal-distribution one-factor-model power-law
    • Replies: 0
    • Forum: FRM® Practice Questions
  3. Nicole Seaman

    P1.T2.702. Simple (equally weighted) historical volatility (Hull)

    Learning objectives: Define and distinguish between volatility, variance rate, and implied volatility. Describe the power law. Explain how various weighting schemes can be used in estimating volatility. Questions 702.1. Consider the following series of closing stock prices over the tend most...
    • Nicole Seaman
    • Thread
    • estimating-volatility implied-volatility power-law simple-historical-volatility variance-rate volatility weighting-schemes
    • Replies: 0
    • Forum: FRM® Practice Questions
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